Tips¶

  • 因子处理在聚合前完成，聚合后的行业级别因子未进行任何处理
  • 行业的价格数据时使用行业成分股分别根据等权和市值加权收益合成
  • 在计算市值加权的聚合因子时，使用当月收盘市值作为权重计算依据
  • 历史行业信息缺失，用当前最新状态下的行业信息往前填充
  • 1级共计31个行业，groups = 10意味最高/最低组别拥有3-4个行业
  • 2级共计130+个行业，groups = 10意味最高/最低组别拥有10~15个行业

level 1 industry class (just including high liquidity stocks)¶

  • distribution
  • equal weighted
start_date:2010-01-01 / end_date:2022-12-31
skew adjskew distance mom6x3 mom9x3 mom12x3 mom1M mom2M mom3M mom6M turnover3M amount3M stddev_diff stddev ep
ic.mean -0.0167 -0.0108 -0.0315 0.0220 0.0543 0.0800 -0.0053 -0.0333 -0.0355 -0.0108 -0.0370 -0.0125 -0.0023 -0.0309 0.0104
ic.t-stats -0.8552 -0.5293 -1.3049 0.9318 2.3307 3.3243 -0.2205 -1.3546 -1.4890 -0.4563 -1.4033 -0.6221 -0.1152 -1.1900 0.3742
AnnRet_Long -0.0396 -0.0444 -0.0153 0.0142 0.0689 0.0895 0.0038 -0.0345 -0.0278 -0.0126 -0.0358 -0.0110 0.0062 -0.0437 -0.0003
AnnRet_short 0.0305 0.0391 0.0298 -0.0223 -0.0660 -0.0698 -0.0013 0.0106 0.0014 -0.0239 -0.0243 0.0353 0.0146 -0.0192 -0.0454
AnnRet -0.0700 -0.0835 -0.0451 0.0366 0.1349 0.1593 0.0051 -0.0450 -0.0292 0.0113 -0.0115 -0.0463 -0.0085 -0.0245 0.0451
SR_Long -0.3247 -0.3469 -0.1153 0.1061 0.4718 0.6050 0.0245 -0.2404 -0.2086 -0.0943 -0.2610 -0.0831 0.0472 -0.2894 -0.0017
SR_Short 0.2862 0.3725 0.2189 -0.1799 -0.5592 -0.6323 -0.0118 0.0986 0.0123 -0.2220 -0.1781 0.3446 0.1404 -0.1528 -0.4060
SR -0.3762 -0.4414 -0.1983 0.1687 0.6226 0.7719 0.0225 -0.2095 -0.1395 0.0576 -0.0480 -0.2412 -0.0453 -0.1016 0.1975
TO_Long 0.8559 0.8516 0.4194 0.5742 0.4774 0.4538 0.8409 0.6817 0.5634 0.4387 0.3161 0.1914 0.9183 0.6581 0.1699
TO_Short 0.8091 0.8371 0.4296 0.5312 0.4231 0.3339 0.8409 0.6801 0.5656 0.4199 0.2237 0.2790 0.8984 0.4667 0.2715
  • cap weighted
start_date:2010-01-01 / end_date:2022-12-31
skew adjskew distance mom6x3 mom9x3 mom12x3 mom1M mom2M mom3M mom6M turnover3M amount3M stddev_diff stddev ep
ic.mean 0.0002 0.0047 -0.0345 0.0132 0.0435 0.0763 0.0095 -0.0164 -0.0055 0.0114 0.0006 -0.0310 -0.0071 0.0022 -0.0218
ic.t-stats 0.0099 0.2569 -1.4527 0.5549 1.7792 3.0645 0.4112 -0.6647 -0.2264 0.4745 0.0194 -1.4439 -0.3485 0.0804 -0.7881
AnnRet_Long -0.0240 -0.0339 -0.0609 -0.0073 0.0680 0.0793 -0.0081 -0.0025 0.0060 -0.0275 0.0244 -0.0181 0.0437 -0.0214 -0.0222
AnnRet_short -0.0164 -0.0373 0.0171 -0.0215 -0.0643 -0.0879 -0.0487 -0.0104 -0.0500 -0.0544 -0.0873 0.0401 0.0259 -0.0667 -0.0193
AnnRet -0.0076 0.0034 -0.0779 0.0142 0.1323 0.1671 0.0406 0.0079 0.0560 0.0269 0.1117 -0.0582 0.0178 0.0453 -0.0029
SR_Long -0.1972 -0.2713 -0.4216 -0.0460 0.4222 0.4931 -0.0459 -0.0136 0.0338 -0.1582 0.1300 -0.1088 0.2723 -0.1104 -0.1413
SR_Short -0.1519 -0.3588 0.1170 -0.1875 -0.5611 -0.7419 -0.4222 -0.0819 -0.4087 -0.4180 -0.5803 0.3262 0.2161 -0.4979 -0.1365
SR -0.0424 0.0184 -0.3101 0.0609 0.5678 0.6823 0.1596 0.0293 0.2240 0.1055 0.3674 -0.2419 0.0897 0.1605 -0.0113
TO_Long 0.8430 0.8387 0.3677 0.5376 0.4452 0.3677 0.8710 0.6602 0.5505 0.4194 0.2409 0.1699 0.9333 0.6366 0.1441
TO_Short 0.8290 0.8258 0.3629 0.5419 0.4065 0.3435 0.8484 0.6919 0.5645 0.4000 0.1097 0.2242 0.9129 0.3323 0.2097

Level 2 industry class (just including high liquidity stocks)¶

  • distribution
  • equal weighted
start_date:2010-01-01 / end_date:2022-12-31
skew adjskew distance mom6x3 mom9x3 mom12x3 mom1M mom2M mom3M mom6M turnover3M amount3M stddev_diff stddev ep
ic.mean -0.0174 -0.0086 -0.0158 0.0130 0.0298 0.0467 -0.0341 -0.0423 -0.0346 -0.0168 -0.0397 -0.0190 0.0085 -0.0272 0.0116
ic.t-stats -1.5059 -0.7597 -0.9915 0.8327 1.9014 2.8606 -2.1690 -2.4762 -2.1830 -1.0174 -2.1620 -1.4523 0.7054 -1.5310 0.6438
AnnRet_Long -0.0113 -0.0230 -0.0206 0.0304 0.0298 0.0790 -0.0624 -0.0418 -0.0356 -0.0328 -0.0512 -0.0308 -0.0079 -0.0338 0.0042
AnnRet_short 0.0188 0.0081 0.0310 -0.0241 -0.0687 -0.0738 0.0223 0.0521 0.0435 0.0130 -0.0057 0.0561 -0.0546 -0.0004 -0.0019
AnnRet -0.0301 -0.0311 -0.0516 0.0544 0.0984 0.1527 -0.0848 -0.0939 -0.0791 -0.0458 -0.0455 -0.0869 0.0466 -0.0334 0.0061
SR_Long -0.1125 -0.2260 -0.1786 0.2347 0.2196 0.5878 -0.4874 -0.2922 -0.2705 -0.2489 -0.4269 -0.2679 -0.0742 -0.2527 0.0264
SR_Short 0.1890 0.0892 0.2135 -0.2432 -0.6204 -0.6598 0.1957 0.4572 0.3941 0.1208 -0.0359 0.4977 -0.5676 -0.0033 -0.0169
SR -0.1847 -0.2006 -0.2357 0.2755 0.4626 0.7354 -0.4176 -0.4277 -0.3785 -0.2186 -0.1816 -0.4523 0.2817 -0.1479 0.0277
TO_Long 0.8578 0.8570 0.4083 0.5948 0.4714 0.4305 0.8644 0.6896 0.5873 0.4543 0.3560 0.2038 0.9407 0.6672 0.1726
TO_Short 0.8460 0.8462 0.4985 0.6060 0.4829 0.4223 0.8861 0.7249 0.6298 0.4928 0.2452 0.5072 0.9273 0.4974 0.3196
  • cap weighted
start_date:2010-01-01 / end_date:2022-12-31
skew adjskew distance mom6x3 mom9x3 mom12x3 mom1M mom2M mom3M mom6M turnover3M amount3M stddev_diff stddev ep
ic.mean -0.0124 -0.0024 -0.0201 0.0170 0.0333 0.0517 -0.0145 -0.0257 -0.0150 0.0001 -0.0131 -0.0162 0.0032 0.0014 0.0071
ic.t-stats -1.1331 -0.2210 -1.0755 1.0154 1.9916 2.9441 -0.8905 -1.4486 -0.8726 0.0041 -0.6218 -1.1496 0.2646 0.0652 0.4634
AnnRet_Long -0.0336 -0.0189 -0.0469 0.0253 0.0419 0.0783 -0.0583 -0.0476 -0.0287 -0.0178 -0.0284 -0.0301 -0.0398 -0.0282 -0.0124
AnnRet_short -0.0212 -0.0324 -0.0547 -0.0325 -0.0917 -0.0735 -0.0190 0.0017 -0.0136 -0.0251 -0.0747 -0.0322 -0.0186 -0.0713 -0.0573
AnnRet -0.0123 0.0135 0.0078 0.0579 0.1336 0.1518 -0.0393 -0.0493 -0.0152 0.0073 0.0463 0.0021 -0.0212 0.0431 0.0449
SR_Long -0.3478 -0.1826 -0.3769 0.1675 0.2934 0.5708 -0.4244 -0.2972 -0.2013 -0.1220 -0.2018 -0.2173 -0.3339 -0.1818 -0.0746
SR_Short -0.2350 -0.3454 -0.3180 -0.2815 -0.7132 -0.6009 -0.1500 0.0143 -0.1046 -0.1862 -0.4001 -0.1869 -0.2092 -0.3931 -0.4395
SR -0.0799 0.0857 0.0323 0.2591 0.5850 0.6696 -0.1758 -0.2060 -0.0654 0.0307 0.1642 0.0087 -0.1337 0.1461 0.2256
TO_Long 0.8615 0.8506 0.3583 0.5419 0.4467 0.3985 0.8685 0.6804 0.5658 0.4337 0.2968 0.1588 0.9340 0.6407 0.0978
TO_Short 0.8355 0.8442 0.3184 0.5770 0.4673 0.3834 0.8733 0.7041 0.5899 0.4604 0.2046 0.2332 0.9143 0.2825 0.2452